Overview
- Presents the mathematical methods required for pricing financial derivatives
- Encourages hands-on experience and builds intuition by explaining theoretical concepts with computer simulations
- Covers mathematical prerequisites, including measure theory, ordinary differential equations, and partial differential equations
Part of the book series: Universitext (UTX)
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (30 chapters)
-
Front Matter
-
Introduction to Financial Mathematics
-
Front Matter
-
-
Probability Theory
-
Front Matter
-
-
Brownian Motion
-
Front Matter
-
-
Itô Calculus
-
Front Matter
-
-
Option Pricing Methods
-
Front Matter
-
Keywords
About this book
The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts.
Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.
Reviews
“This book gives an introduction to financial mathematics. It presents also some background of mathematical facts necessary for understanding modern finance. … For the reader convenience, the book contains a detailed contents, a list of figures, a list of tables, a list of simulations, a list of acronyms and a list of used symbols.” (Jacek Jakubowski, zbMATH 1409.91002, 2019)
“This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and how it can be used in the pricing of financial derivatives.” (Carlos Vázquez Cendón, Mathematical Reviews, August, 2017)
Authors and Affiliations
About the author
The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled "Computational Ergodic Theory".
Bibliographic Information
Book Title: Stochastic Analysis for Finance with Simulations
Authors: Geon Ho Choe
Series Title: Universitext
DOI: https://doi.org/10.1007/978-3-319-25589-7
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2016
Softcover ISBN: 978-3-319-25587-3Published: 22 July 2016
eBook ISBN: 978-3-319-25589-7Published: 14 July 2016
Series ISSN: 0172-5939
Series E-ISSN: 2191-6675
Edition Number: 1
Number of Pages: XXXII, 657
Number of Illustrations: 82 b/w illustrations, 107 illustrations in colour
Topics: Mathematics, general, Quantitative Finance